Explicit solutions for a nonlinear model of financial derivatives
By Ljudmila A. Bordag, Alina Z. Chmakova. 2006
46 citations recorded by the source corpus.
Families of explicit solutions are found to a nonlinear Black–Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving a nonlinear Black–Scholes equation.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/a9139483e30c735ccd204771379c5514737439ca
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In Economics and Econometrics
In Finance
Citations in the corpus
- Analytical and Numerical Methods for Pricing Financial Derivatives (2011, methodology): “7) have been derived by Bordag and Chankova[16] and Bordag and Frey [17].”